On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
From MaRDI portal
Publication:5700626
DOI10.1137/S0040585X97980956zbMath1090.60072OpenAlexW2089698201MaRDI QIDQ5700626
Publication date: 28 October 2005
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97980956
Related Items (15)
Selling a stock at the ultimate maximum ⋮ OPTIMAL SELLING RULES FOR MONETARY INVARIANT CRITERIA: TRACKING THE MAXIMUM OF A PORTFOLIO WITH NEGATIVE DRIFT ⋮ Predicting the last zero of Brownian motion with drift ⋮ Predicting the last zero before an exponential time of a spectrally negative Lévy process ⋮ Optimal stopping with expectation constraints ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Optimal detection of a hidden target: the median rule ⋮ Three-dimensional Brownian motion and the golden ratio rule ⋮ Predicting the ultimate supremum of a stable Lévy process with no negative jumps ⋮ Quickest detection of a hidden target and extremal surfaces ⋮ Flexible supply contracts under price uncertainty ⋮ OPTIMAL STOPPING FOR THE LAST EXIT TIME ⋮ Predicting the time at which a Lévy process attains its ultimate supremum ⋮ The optimal stopping problem concerned with ultimate maximum of a Lévy process ⋮ Stopping with expectation constraints: 3 points suffice
This page was built for publication: On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems